Studies of CSI-300 index futures volatility on garch models and CARR models

Abstract

GARCH model is the most common way of financial assets volatility, recent Chou's CARR model to estimate volatility also shows some advantages. This paper deals with the subject of CSI-300 Index Futures. We fit GARCH-GED model, EGARCH model, CARR model and CARRX model to the volatility of the CSI-300 Index Futures, and comparing and analyzing the predictive power of a variety of models based on the Mincer-Zarnowitz regression equation and Diebold- Mariano test. Our conclusion is that CARRX model on volatility research is better than any other model. © Springer-Verlag Berlin Heidelberg 2013.